A melee weapon possessing the weapon special ability returning can be created
While the weapon special ability returning says that
This special ability can only be placed on a weapon that can be thrown.
the section Weapons on Melee and Ranged Weapons says that
It is possible to throw a weapon that isn't designed to be thrown (that is, a melee weapon that doesn't have a numeric entry in the Range column on Table: Weapons), and a character who does so takes a −4 penalty on the attack roll. Throwing a light or one-handed weapon is a standard action, while throwing a two-handed weapon is a full-round action. Regardless of the type of weapon, such an attack scores a threat only on a natural 20 and deals double damage on a critical hit. Such a weapon has a range increment of 10 feet.
Thus, for example, a creature that possesses a base attack bonus of +16 that's wielding a +1 returning greatsword can take a full-round action either to make with the weapon 4 melee attacks or to make with the weapon 1 ranged attack on which the creature suffers a −4 penalty on the attack roll. If thrown, the +1 returning greatsword returns to the spot whence it was thrown immediately before the creature's next turn.
Note that the DM may have an issue with the game's inability to randomly generate, for example, that +1 returning greatsword, but that inability means only that such a weapon, for example, won't appear in a defeated monster's randomly generated treasure pile, probably because for most adventurers such weird weapons would be vendor trash. But the game's inability to randomly generate the weapon doesn't mean a creature can't create the weapon himself, can't commission another creature to make the weapon for him, or can't be assigned a weird weapon by the DM.
A slight confusion of terms
A thrown object that's crafted to be a weapon is never also an improvised ranged weapon. Weapons are distinct objects, different from improvised weapons. The section Weapons on Improvised Weapons says that
Sometimes objects not crafted to be weapons nonetheless see use in combat. Because such objects are not designed for this use, any creature that uses an improvised weapon in combat is considered to be nonproficient with it and takes a −4 penalty on attack rolls made with that object. To determine the size category and appropriate damage for an improvised weapon, compare its relative size and damage potential to the weapon list to find a reasonable match. An improvised weapon scores a threat on a natural roll of 20 and deals double damage on a critical hit. An improvised thrown weapon has a range increment of 10 feet.
Although the rules correspond almost exactly to the Melee and Ranged Weapons rules quoted above, the objects involved don't.